Cyclical Mackey Glass Model for Oil Bull Seasonal
In this article, we propose an innovative way for modelling oil bull seasonals taking into account seasonal speculations in oil markets. Since oil prices behave very seasonally during two periods of the year (summer and winter), we propose a modification of Mackey Glass equation by taking into account the rhythm of seasonal frequencies. Using monthly data for WTI oil prices, Seasonal Cyclical Mackey Glass estimates indicate that seasonal interactions between heterogeneous speculators with different expectations may be responsible for pronounced swings in prices in both periods. Moreover, the seasonal frequency / 3(referring to a period of 6 months) appears to be persistent over time.
|Date of creation:||May 2011|
|Date of revision:||May 2011|
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